Ergodic risk-sensitive control for regime-switching diffusions

dc.contributor.author	BISWAS, ANUP	en_US
dc.contributor.author	Pradhan, Somnath	en_US
dc.date.accessioned	2022-12-28T09:21:55Z
dc.date.available	2022-12-28T09:21:55Z
dc.date.issued	2022-12	en_US
dc.identifier.citation	Systems & Control Letters, 170,105399.	en_US
dc.identifier.issn	0167-6911	en_US
dc.identifier.issn	1872-7956	en_US
dc.identifier.uri	https://doi.org/10.1016/j.sysconle.2022.105399	en_US
dc.identifier.uri	http://dr.iiserpune.ac.in:8080/xmlui/handle/123456789/7540
dc.description.abstract	In this article, we study the ergodic risk-sensitive control problem for controlled regime-switching diffusions. Under a blanket stability hypothesis, we solve the associated nonlinear eigenvalue problem for weakly coupled systems and characterize the optimal stationary Markov controls via a suitable verification theorem. We also consider the near-monotone case and obtain the existence of principal eigenfunction and optimal stationary Markov controls.	en_US
dc.language.iso	en	en_US
dc.publisher	Elsevier B.V.	en_US
dc.subject	Principal eigenvalue	en_US
dc.subject	Switching diffusions	en_US
dc.subject	Verification results	en_US
dc.subject	2022-DEC-WEEK3	en_US
dc.subject	TOC-DEC-2022	en_US
dc.subject	2022	en_US
dc.title	Ergodic risk-sensitive control for regime-switching diffusions	en_US
dc.type	Article	en_US
dc.contributor.department	Dept. of Mathematics	en_US
dc.identifier.sourcetitle	Systems & Control Letters	en_US
dc.publication.originofpublisher	Foreign	en_US